Informed trading, market efficiency and volatility

DOI10.1016/J.ECONLET.2016.10.015MaRDI QIDQ1668632zbMATH OpenOpenAlexFDO

Authors Ming-Chien Sung, Johnnie E. V. Johnson, David C. J. McDonald

Publication date 29 August 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://eprints.soton.ac.uk/401433/1/volatility%2520efficiency%2520paper110816.docx

zbMATH Keywords

efficiencyinformed tradingvolatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Informed Trading and Portfolio Returns
• Estimating the Proportion of Informed Traders in BTC-USD Market Using Spread and Range
• Dampening effect and market efficiency
• The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets

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